A Comparative Study of VaR Estimation for Structured Products
Table 1
Summary statistics for log returns in alternative periods.
Notes
Mean
Standard deviation
Skewness
Kurtosis
Panel A: May 13, 2004 to August 29, 2005
RUD
0.000228
0.008842
0.178742
2.808400
102.61 (0.128)
26.59 (0.10)
SPO
0.000199
0.006508
0.278440
1.933470
71.63 (0.502)
96.86 (0.00)
DJQ
0.000112
0.006409
0.299268
2.264748
59.54 (0.146)
14.22 (0.00)
Panel B: August 30, 2005 to April 30, 2008
RUD
0.000168
0.007301
0.131015
3.071701
103.00 (0.116)
35.25 (0.00)
SPO
0.000141
0.008853
0.295478
5.591546
71.63 (0.602)
130.22 (0.00)
DJQ
0.000267
0.008166
0.117100
3.481814
61.75 (0.667)
38.43 (0.00)
Panel C: May 13, 2004 to April 30, 2008
RUD
0.000038
0.007838
0.168216
3.622114
91.6 (0.556)
56.37 (0.00)
SPO
0.000160
0.008155
0.210099
5.647948
65.09 (0.117)
159.87 (0.00)
DJQ
0.000216
0.007631
0.044427
3.550943
48.80 (0.667)
58.72 (0.00)
Note that mean, standard deviation, skewness, and kurtosis are for log returns. and stand for Ljung-Box statistics for log returns and squared log returns, respectively. P-values are in parentheses. The symbol denotes significance at 10 percent level.
